Weak convergence of Euler scheme for SDEs with low regular drift

DOI10.1007/s11075-021-01206-6zbMath1496.65011arXiv2005.04631OpenAlexW3209228832MaRDI QIDQ2138404

Chenggui Yuan, Yongqiang Suo, Shao-Qin Zhang

Publication date: 11 May 2022

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.04631

zbMATH Keywords

weak convergence rateEuler-Maruyama's approximationlow regular coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Convergence rate of the EM algorithm for SDEs with low regular drifts ⋮ Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise

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